Computing the implied volatility in stochastic volatility models

Communications on Pure and Applied Mathematics

Volumn 57, Issue 10, 2004, Pages 1352-1373

  Berestycki, Henri ^a,d   Busca, Jérôme ^b   Florent, Igor ^c  

^a Ecl Hautes Etud en Sci Social ^*  (France)

^b UNIVERSITÉ PARIS DAUPHINE   (France)

^c HSBC Halbis Partners   (France)

^d ÉCOLE DES HAUTES ÉTUDES EN SCIENCES SOCIALES   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4544255779     PISSN: 00103640     EISSN: None     Source Type: Journal    
DOI: 10.1002/cpa.20039     Document Type: Article

References (24)

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